This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to...

A key issue raised by the rapid growth of computerised algorithmic trading is how it responds in extreme situations. Using data on foreign exchange orders and transactions that includes identification of algorithmic trading, we find that this type of trading contributed to the deterioration of...

Investment banks like Goldman Sachs have started a "guaranteed close" business where investors looking to buy or sell shares of a certain stock can get a guarantee from the bank to execute their orders at the close price set on the primary exchange. Daily trading volume through this venue has...

Stocks with high sentiment betas are more sensitive to investor sentiment, with more subjective valuations. We contend that sentiment beta also captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders. We...

In this letter, I exploit the high fraction of retail investors in the early years of the Bitcoin and the introduction of margin trading and short selling by the Bitcoin Exchange Kraken to apply a difference-in-differences approach with four other comparable Bitcoin exchanges to infer causality....

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

I document a new stylized fact: the higher the degree of institutional ownership (IO) in a portfolio, the more time-varying expected returns rather than changes in expected dividend growth drive changes in its valuation. Empirical evidence suggests that institutions' time-varying sensitivity to...

In this paper we show that institutional participation in the U.S. stock market in recent decades has played an ever increasing role in explaining cross-sectional variation in stock market illiquidity. We first document trends in the growth of institutional stock ownership using the 13F...

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

We explore whether style investing by mutual fund investors contributes to return comovement of stocks in the same style, classified by market capitalization and book-to-market ratio. We find that a stock's comovement with other stocks in its style is significantly greater when this stock is...